All planets have gravity. All objects have gravity, but we can't feel it unless that objects are really big. Planets are huge, so we can feel their gravity pulling us. We feel heavier on earth than on the moon because the earth is bigger (therefore it's gravity pull is bigger).

The shape of the earth is a different subject -- that has more to do with what shape was created when the planet was formed (a round shape is very stable so when all the pieces are coming together, it's easier to take a round shape (based on physics of attraction)).

I hope this is helpful, but let me know if I can clarify something further!